Variational Inequalities for Combined Control and Stopping Game

DOI10.1080/07362990600959455zbMath1119.60041OpenAlexW2057958803MaRDI QIDQ3423716

Khadija Akdim, Isabelle Turpin, Youssef Ouknine

Publication date: 15 February 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990600959455

zbMATH Keywords

variational inequalityviscosity solutionstopping gamecombined control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Optimal stochastic control (93E20) Stochastic integral equations (60H20)

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The Dynkin game with regime switching and applications to pricing game options ⋮ Existence of Value in Stochastic Differential Games of Mixed Type ⋮ Non-linear Dynkin games over split stopping times

Cites Work

• On a variational inequality associated with a stopping game combined with a control
• On the Optimal Stopping Time Problem for Degenerate Diffusions
• On the Optimal Impulse Control Problem for Degenerate Diffusions
• User’s guide to viscosity solutions of second order partial differential equations
• Variational Inequalities for Combined Control and Stopping
• Utility Maximization with Discretionary Stopping
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